CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0000	0.06
β GARCH Volatility persistence	0.0000	0.05
γ leverage Additional response to negative shocks	0.5000	86.49***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0523	6.46***
λ₃ tau persistence Long-term factor persistence	0.8543	99.18***

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Kaleon SpA MF2-GARCH Volatility Analysis

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